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Alternative Market Briefing

Swiss CTA Amplitude’s AuM grow as investors add to short-term trading funds

Tuesday, March 11, 2014

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Benedicte Gravrand, Opalesque Geneva:

While many CTA managers have suffered in terms of performance and AUM, over the last 15 months Swiss-based Amplitude Capital’s assets under management grew by about 33% to around $1.6bn on the back of a few large tickets from North-American and European pension funds. Those allocators, according to Amplitude, are both adding to the systematic space and moving from long- and medium-term managers towards shorter-term managers as they seek non-correlated performance to protect their general long exposure to equities and bonds.

Short-term trading funds have been doing quite well in the last 14 months or so; last time they did so well was in 2009.

The Newedge CTA Index is down 1.97% YTD (to March 7th) after returning +0.73% in 2013, while the Newedge Short Term Traders Index is up 2.58% YTD after returning +3.53% in 2013.

The Lyxor CTA Short Term Index was up 0.95% in February (+1.33% YTD) while the Lyxor CTA Long Term Index returned 3.40% (-2.20% YTD). According to Lyxor, following a tough month of January, the Long Term CTAs rebounded strongly as they benefitted from their equ......................

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